If your Beetle/Golf/Jetta is pre-2004, it requires a synthetic 5w40 oil meeting VW 500.00, 505.00 or ACEA A3/B3.
Pennzoil has no product meeting these specifications in the U.S.A.
The most commonly available oil is Shell Rotella Synthetic (blue bottle). It is available at Wal-Marts, some Auto Zones, and most truck stops. It's an excellent oil for the ALH TDI and usually runs about $15-16.00/gallon. You car will need about 4.5 qts.
Mobil Delvac 1 is another excellent choice. It's also available at the same places which carry Rotella Synthetic and it is labeled as "Mobil Turbo Diesel Truck 5w40".
If your car is a 2004 or newer, it requires an oil meeting VW 505.01 which is difficult to find outside of VW/Audi dealerships. It will cost $6-8.00/qt.
You should be fine driving the car on standard "dino juice" for a few days, but I'd limit the mileage. Conventional 5w/10w30 motor oils intended for gassers don't have the ability to handle soot loading which is one reason they are not suitable for Diesel use.
(information compiled from the cincitdi yahoo mailing list from Mark Groves responding to a new member with an Oil change question)
A few points to be taken